On convex risk measures on <Emphasis Type="Italic">L</Emphasis><Superscript><Emphasis Type="Italic">p</Emphasis></Superscript>-spaces

Much of the recent literature on risk measures is concerned with essentially bounded risks in L ^∞. In this paper we investigate in detail continuity and representation properties of convex risk measures on L ^p spaces. This frame for risks is natural from the point of view of applications since risks are typically modelled by unbounded random variables. The various continuity properties of risk measures can be interpreted as robustness properties and are useful tools for approximations. As particular examples of risk measures on L ^p we discuss the expected shortfall and the shortfall risk. In the final part of the paper we consider the optimal risk allocation problem for L ^p risks.     

Estimating Relative Risk on the Line Using Nearest Neighbor Statistics

This paper considers a non-parametric method for identifying intervals on the line where the relative risk of cases to controls exceeds a pre-specified level. The method is based on the kth nearest neighbor (kNN) approach for density estimation. An asymptotic result is presented that yields an explicit formula for constructing a confidence interval for the relative risk at a given point. Numerical simulations are used to compare this approach with a kernel density estimation procedure. An application is made to a case-control study in which the relative risk of motor vehicle crashes caused by female drivers is compared to male drivers in the state of Kentucky as a function of age and then by time of day.      

性别差异对研发投资决策影响的实验研究

基于Z-Tree实验平台利用研发投资自然博弈实验研究发现风险规避导致女性的研发投入强度低于男性,但女性在研发投资过程中愿意投入的研发努力程度高于男性。随着时间推移,男性的研发努力程度明显下降,但女性的研发努力程度反而上升。男性和女性在决策中均表现出心理账户效应,女性更加愿意通过努力来提高业绩。男性在投资中更多体现期权思想,而女性更多表现出长期倾向下的持续努力。文章在揭示性别因素影响研发投资机理基础上,为董事会性别多样性、分级董事会以及递延薪酬等治理机制发挥作用机理提供了新解释。研究结论可以为企业职位的性别配置、分级董事会以及激励契约设计提供借鉴。关键词:性别差异;研发投资;实验研究;心理账户;风险规避;长期倾向     

A model of sex‐based social stability

For some time theoretical biologists have been discussing the origin of sexes, which seems somewhat puzzling as there are intrinsic inefficiencies for a species to produce males and females, rather than hermaphrodites. We propose that part of the explanation of this may be the additional social stability that sexes offer. We use notions from cooperative game theory to show that for hermaphrodites, it may be impossible for a social group to find a stable set of partnerships. The existence of such a stable set of partnerships is, however, guaranteed for species with both males and females. © 2004 Wiley Periodicals, Inc. Complexity 9: 52–56, 2004     

Beneficial changes in dependence structures and two-moment decision models

We analyze the comparative static effects of beneficial changes in the dependence structure between risks. In a quasi-linear decision model with an endogenous risk and a dependent background risk, a mean-variance decision maker will choose a lower level of risky activities upon an increase in the coefficient of correlation of the risks if, and only if, the elasticity of risk aversion is larger than −0.5. For elliptical distributions, the elasticity condition is equivalent to relative prudence being smaller than 1.     

Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk

Reverse mortgages provide an alternative source of funding for retirement income and health care costs. The two main risks that reverse mortgage providers face are house price risk and longevity risk. Recent real estate literature has shown that the idiosyncratic component of house price risk is large. We analyse the combined impact of house price risk and longevity risk on the pricing and risk profile of reverse mortgage loans in a stochastic multi-period model. The model incorporates a new hybrid hedonic–repeat-sales pricing model for houses with specific characteristics, as well as a stochastic mortality model for mortality improvements along the cohort direction (the Wills–Sherris model). Our results show that pricing based on an aggregate house price index does not accurately assess the risks underwritten by reverse mortgage lenders, and that failing to take into account cohort trends in mortality improvements substantially underestimates the longevity risk involved in reverse mortgage loans.     

Asymmetry and multiple endemic equilibria in a model for HIV transmission in a heterosexual population

The difference in transmissibility of HIV between heterosexual males and females in specific social contexts is known to play an important role in determining the form of HIV/AIDS epidemics across the globe. A fundamental constraint here is the conservation of the number of new partnerships formed between the sexes. We examine the impact of general asymmetry in sexual behaviour between the sexes, subject to this group contact constraint, on the transient and long term behaviour of a HIV epidemic. A homogeneously mixing heterosexual population is modelled in which males and females differ only in their infectivity rates (average sexual risk per infected partner) and sexual activity rates (the mean number of sexual partners per unit time for a typical individual). A dominance form of sexual activity rates yields conditions for the existence of multiple endemic equilibria for R₀. the reproductive number, just less than unity. We interpret this as a resilience of the disease persistence for R₀ > 1, which requires significant differences between the sexes' transmissibility. Model simulations in this region of the parameter space show that the time scale and shape of an epidemic curve can be considerably altered. Sexual activity rates modelling the proportions of sexually active groups are also used to address the role of asymmetry. We discuss the consequences of our results for management of the disease.     

A continuous-time stochastic model for the mortality surface of multiple populations

We formulate, study and calibrate a continuous-time model for the joint evolution of the mortality surface of multiple populations. We model the mortality intensity by age and population as a mixture of stochastic latent factors, that can be either population-specific or common to all populations. These factors are described by affine time-(in)homogeneous stochastic processes. Traditional, deterministic mortality laws can be extended to multi-population stochastic counterparts within our framework. We detail the calibration procedure when factors are Gaussian, using centralized data-fusion Kalman filter. We provide an application based on the joint mortality of UK and Dutch males and females. Although parsimonious, the specification we calibrate provides a good fit of the observed mortality surface (ages 0–89) of both sexes and populations between 1960 and 2013.     

AN INDIVIDUAL‐BASED MODEL TO ESTIMATE THE DAILY ENERGETIC COST OF GREATER RHEAS AND ITS CONTRIBUTION ON POPULATION RECRUITMENT

Abstract An individual‐based model for estimating the energetic costs in Rhea americana was developed considering their sexual and seasonal differences in the behavioral activities. The model includes as variables the individual's characteristics, as well as corporal weight, the time spent on different activities, and the cost associated with each activity. We estimated the daily energetic demand of an adult rhea based on the activities individuals normally develop during postreproductive, nonreproductive, and reproductive seasons, differentiating between sexes. The time spent in each activity for one given animal was calculated from field observations of individuals and the estimations of energetic costs for each activity were obtained from specialized literature. The model built varied between sexes because males and females have different reproductive costs. Both models have the same general formulation but they differ in the cost associated with reproduction. In Greater Rheas, while males assume all of the incubation, the females only lay eggs communally in a single nest. Also the possibility that the individual reproduces or not was considered. The model does not allow to determine whether the energetic costs associated with the breeding are the reason why few individuals try to reproduce but it indicates that there is a clear difference in the daily energetic costs of individuals which reproduce and those which do not reproduce. Other activities associated with parental care posthatching, not taken into account here, would increase these differences, and would explain the low number of breeding attempts observed at wild.     

A unisex stochastic mortality model to comply with EU Gender Directive

EU Gender Directive ruled out discrimination against gender in charging premium for insurance products. This prohibition prevents the use of the standard actuarial fairness principle to price life insurance products. According to current actuarial practice, unisex premiums are calculated with a simple weighting rule of the gender-specific life tables. This procedure is likely to violate portfolio fairness principles. Up to our knowledge, in the actuarial literature there is no unisex mortality model that respects the unisex fairness principle. This paper is the first attempt to fill this gap. First, we recall the notion of unisex fairness principle and the corresponding unisex fair premium. Then, we provide a unisex stochastic mortality model for the mortality intensity that is underlying the pricing of a life portfolio of females and males belonging to the same cohort. Finally, we calibrate the unisex mortality model using the unisex fairness principle. We find that the weighting coefficient between the males’ and females’ own mortalities depends mainly on the quote of portfolio relative to each gender, on the age, and on the type of insurance products. The knowledge of a proper unisex mortality model could help life insurance companies to better understanding the nature of the risk of a mixed portfolio.     

Optimal dynamic asset allocation of pension fund in mortality and salary risks framework

In this paper, we consider the optimal dynamic asset allocation of pension fund with mortality risk and salary risk. The managers of the pension fund try to find the optimal investment policy (optimal asset allocation) to maximize the expected utility of terminal wealth. The market is a combination of financial market and insurance market. The financial market consists of three assets: cashes with stochastic interest rate, stocks and rolling bonds, while the insurance market consists of mortality risk and salary risk. These two non-hedging risks cause incompleteness of the market. By martingale method and dynamic programming principle we first derive the approximate optimal investment policy to overcome the difficulty, then investigate the efficiency of the approximation. Finally, we solve an optimal assets liabilities management(ALM) problem with mortality risk and salary risk under CRRA utility, and reveal the influence of these two risks on the optimal investment policy by numerical illustration.     

Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration

This paper investigates the impact of relative performance concerns on the longevity risk transfer market. When an insurer concerns about the relative performance in a two-insurer economy, she maximizes the expected utility of her terminal wealth benchmarked against her competitor’s. The problem formulation for a general utility, a general interest rate process and cointegrated mortality rates uses a nonzero sum stochastic differential game approach. Explicit solution of the Nash equilibrium is derived for constant relative risk adverse insurers under the Vasicek-type stochastic interest and mortality rates. Existence and uniqueness of the Nash equilibrium are established for the CIR-type models, which rule out negative interest and mortality rates. While previous studies based on the single-agent approaches have shown a high investment demand in longevity bonds, the launch of it was unsuccessful in reality. Ours supplements that the demand is much lower subject to the relative performance concerns.     

Relative Completions of Linear Groups Over Coordinate Rings of Curves

We compute the completion of the special linear group over the coordinate ring A of a curve over a number field k relative to its representation in SL _n (A/𝔪), for 𝔪 a maximal ideal.     

Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts

This paper uses survivor fan charts to illustrate the prospective density functions of future male survival rates. The fan charts are based on a version of the Cairns–Blake–Dowd model of male mortality that provides a good fit to recent mortality data for England and Wales. They indicate that although none of us can escape the Grim Reaper, survivorship uncertainty is greatest for males aged a little over 90, confirming that there exists a ‘toxic tail’ for those institutions, such as annuity and pension providers, which are obliged to make payments to them for as long as they live. We also find that taking account of uncertainty in the parameters of the underlying mortality model leads to major increases in estimates of the widths of the fan charts.     

Bayesian graduation of mortality rates: An application to reserve evaluation

This paper presents Bayesian graduation models of mortality rates, using Markov chain Monte Carlo (MCMC) techniques. Graduated annual death probabilities are estimated through the predictive distribution of the number of deaths, which is assumed to follow a Poisson process, considering that all individuals in the same age class die independently and with the same probability. The resulting mortality tables are formulated through dynamic Bayesian models. Calculation of adequate reserve levels is exemplified, via MCMC, making use of the value at risk concept, demonstrating the importance of using “true” observed mortality figures for the population exposed to risk in determining the survival coverage rate.     

考虑风险关联情形的风险评估方法研究

针对多个风险之间存在关联的风险评估问题,给出了一种风险评估方法。在本文中,首先依据专家小组给出关于风险关联的评价信息,通过构建综合关联矩阵识别风险之间的影响关系,进而确定风险的层次结构;然后依据确定的可划分或不可划分的风险层次结构以及专家小组给出的风险发生的概率和风险损失,运用概率论相关知识来计算各风险值。最后,通过一个算例说明了本文提出方法的可行性和有效性。     

The optimal portfolio problem with coherent risk measure constraints

One of the basic problems of applied finance is the optimal selection of stocks, with the aim of maximizing future returns and constraining risks by an appropriate measure. Here, the problem is formulated by finding the portfolio that maximizes the expected return, with risks constrained by the worst conditional expectation. This model is a straightforward extension of the classic Markovitz mean–variance approach, where the original risk measure, variance, is replaced by the worst conditional expectation.The worst conditional expectation with a threshold α of a risk X, in brief WCE_α(X), is a function that belongs to the class of coherent risk measures. These are measures that satisfy a set of properties, such as subadditivity and monotonicity, that are introduced to prevent some of the drawbacks that affect some other common measures.This paper shows that the optimal portfolio selection problem can be formulated as a linear programming instance, but with an exponential number of constraints. It can be solved efficiently by an appropriate generation constraint subroutine, so that only a small number of inequalities are actually needed.This method is applied to the optimal selection of stocks in the Italian financial market and some computational results suggest that the optimal portfolios are better than the market index.     

我国环境污染与居民恶性肿瘤发病及死亡的灰色关联度分析

收集2003-2012年三个区域:全国区域、城市区域、农村区域的恶性肿瘤发病及死亡率和污染物数据,采用灰色关联分析方法计算了不同区域与不同污染物的综合关联度,并对污染物致恶性肿瘤死亡的潜伏期作了定量分析.研究结果表明:1)氨氮排放量和二氧化硫对我国三个不同区域居民恶性肿瘤发病和死亡率的影响最大;2)污染物与恶性肿瘤发病率的关联度跟区域无关,但是污染物与恶性肿瘤死亡率的关联度城市明显大于农村,污染物与恶性肿瘤死亡率的关联度男性明显大于女性;3)氨氮和二氧化硫导致居民恶性肿瘤死亡的潜伏期分别为:2和1年.     

Redistribution of longevity risk: The effect of heterogeneous mortality beliefs

Existing literature regarding the natural hedge potential that arises from combining different longevity-linked liabilities typically does not address the question how changes in the liability mix can be obtained. We consider firms who aim to exploit the benefits of natural hedge potential by redistributing their risks, and characterize the risk redistributions that will arise when the parties bargain for a redistribution of risk that weakly benefits them all. We analyze the effects of heterogeneity in the beliefs regarding the probability distribution of future mortality rates on the properties of these risk redistributions, and provide a numerical illustration for a case where an insurer with a portfolio of term assurance contracts and a pension fund with a portfolio of life annuities redistribute their risks.     

Optimal consumption and portfolio choice for pooled annuity funds

This paper presents the optimal continuous time dynamic consumption and portfolio choice for pooled annuity funds. A pooled annuity fund constitutes an alternative way to protect against mortality risk compared to purchasing a life annuity. The crucial difference between the pooled annuity fund and purchase of a life annuity offered by an insurance company is that participants of a pooled annuity fund still have to bear some mortality risk while insured annuitants bear no mortality risk at all. The population of the pool is modelled by employing a Poisson process with time-dependent hazard-rate. It follows that the pool member’s optimization problem has to account for the stochastic investment horizon and for jumps in wealth which occur if another pool member dies. In case the number of pool members goes to infinity analytical solutions are provided. For finite pool sizes the solution of the optimization problem is reduced to the numerical solution of a set of ODEs. A simulation and welfare analysis show that pooled annuity funds insure very effectively against longevity risk even if their pool size is rather small. Only very risk averse investors or those without access to small pools are more inclined to pay a risk premium to access private life annuity markets in order to lay off mortality risk completely. As even families constitute such small pools the model provides theoretical justification for the low empirical annuity demand.